Kalman filtering and smoothing for linear wave equations with model error

DOI10.1088/0266-5611/27/9/095008zbMATH Open1230.62128arXiv1101.5096OpenAlexW3103310084MaRDI QIDQ3174445FDOQ3174445

D. McDougall, A. M. Stuart, Wonjung Lee

Publication date: 12 October 2011

Published in: Inverse Problems (Search for Journal in Brave)

Abstract: Filtering is a widely used methodology for the incorporation of observed data into time-evolving systems. It provides an online approach to state estimation inverse problems when data is acquired sequentially. The Kalman filter plays a central role in many applications because it is exact for linear systems subject to Gaussian noise, and because it forms the basis for many approximate filters which are used in high dimensional systems. The aim of this paper is to study the effect of model error on the Kalman filter, in the context of linear wave propagation problems. A consistency result is proved when no model error is present, showing recovery of the true signal in the large data limit. This result, however, is not robust: it is also proved that arbitrarily small model error can lead to inconsistent recovery of the signal in the large data limit. If the model error is in the form of a constant shift to the velocity, the filtering and smoothing distributions only recover a partial Fourier expansion, a phenomenon related to aliasing. On the other hand, for a class of wave velocity model errors which are time-dependent, it is possible to recover the filtering distribution exactly, but not the smoothing distribution. Numerical results are presented which corroborate the theory, and also to propose a computational approach which overcomes the inconsistency in the presence of model error, by relaxing the model.

Full work available at URL: https://arxiv.org/abs/1101.5096

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics (62P99) Applications of functional analysis in probability theory and statistics (46N30) PDEs in connection with statistics (35Q62)

Cited In (8)

• A new data assimilation technique based on ensemble Kalman filter and Brownian bridges: an application to Richards' equation
• Convergence of discrete-time Kalman filter estimate to continuous time estimate
• Discrete data assimilation in the Lorenz and 2D Navier-Stokes equations
• Optimal strategies for the control of autonomous vehicles in data assimilation
• A Kalman-Filter Smoothing Approach for Extrapolations in Certain Dose-Response, Damage-Assessment, and Accelerated-Life-Testing Studies
• Decreasing Flow Uncertainty in Bayesian Inverse Problems Through Lagrangian Drifter Control
• A reduced basis Kalman filter for parametrized partial differential equations
• Unified forms for Kalman and finite impulse response filtering and smoothing

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